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IQFeed Developer Support » Minute data period volume slightly off? Apr 2, 2008 04:12 AM (Total replies: 3)

With this in mind, what is the most accurate way to calculate metrics such as VWAP which depend on price and volume? Based on the incremental volume for which we have an actual price, or by attempting to extrapolate an estimated price for the missing cumulative volume?

It seems that method 1 underestimates volume and method 2 has inaccurate price, but both methods are less than perfect. I wonder what is the "normal" way?

I have observed Ninja Trader, for instance, attempts to account for the missing volume by assigning the current tick price to the difference in cumulative volumes. This seems to be method 2 but with a poor estimation algorithm.

Is there a better methodology?


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